quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] unreferenced formal parameters in inflation code

[Ferdinando A. <na...@am...>]

Hi all

as you probably guessed I'm doing some lint activity for 1.0 release,
so expect some more "unreferenced formal parameters" message from me.

Feel free to trash all of them ;-) but if you are the author or you
have some familiarity with the code referenced please consider helping

warning C4100: 'forecastTodaysFixing' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\indexes\inflationindex.cpp	125
warning C4100: 'forecastTodaysFixingIgnored' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\indexes\inflationindex.cpp	233
warning C4100: 'iTS' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\termstructures\inflation\seasonality.cpp	28

For unreferenced formal parameter there are 3 possible alternatives:

1) keep the parameter, just remove its name. This might be the case if
you're inheriting the signature, but the parameter doesn't make sense
in your implementation
2) use the parameter. Not using it was a genuine bug
3) remove the parameter as it is not needed

ciao -- Nando

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano

[Quantlib-dev] unreferenced formal parameters in finite difference code (and Heston - Hull White)

[Ferdinando A. <na...@am...>]

Hi all

as you probably guessed I'm doing some lint activity for 1.0 release,
so expect some more "unreferenced formal parameters" message from me.

Feel free to trash all of them ;-) but if you are the author or you
have some familiarity with the code referenced please consider helping

warning C4100: 'rhs' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\finitedifferences\fdmdirichletboundary.cpp	64
warning C4100: 't' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\finitedifferences\fdmdirichletboundary.cpp	71
warning C4100: 't' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\experimental\finitedifferences\fdmamericanstepcondition.cpp	33
warning C4100: 't' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\pricingengines\vanilla\analytichestonhullwhiteengine.cpp	70

For unreferenced formal parameter there are 3 possible alternatives:

1) keep the parameter, just remove its name. This might be the case if
you're inheriting the signature, but the parameter doesn't make sense
in your implementation
2) use the parameter. Not using it was a genuine bug
3) remove the parameter as it is not needed

ciao -- Nando

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano

[Quantlib-dev] Off Topic: in search of current email address of Frédéric Degraeve

[Ferdinando A. <na...@am...>]

Hi all

I need to get in touch with Frédéric Degraeve about some code he's contributed.
If anyone has his current address please contact me off-list

ciao -- Nando

[Quantlib-dev] [ quantlib-Bugs-2904852 ] Quantlib 0.9.9 doesnt build against boost 1.41

[SourceForge.net <no...@so...>]

Bugs item #2904852, was opened at 2009-11-27 08:53
Message generated for change (Settings changed) made by manustone
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2904852&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Deleted
Resolution: None
Priority: 5
Private: No
Submitted By: manustone (manustone)
Assigned to: Nobody/Anonymous (nobody)
Summary: Quantlib 0.9.9 doesnt build against boost 1.41

Initial Comment:
Hi all
I have just downloaded latest version of QuantLib.
In my machine boost 1.41 ( laste version at this time ) was already instealled and working fine.
Building quantlib is fine untile it tries to link against boost::unit_test and boost::test_tool.
The libs are located in /usr/local/lib. What can I do to fix it?
Thanks
Mn
Below some error message

/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:98: undefined reference to `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream const&) const'
/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:215: undefined reference to `boost::unit_test::unit_test_log_t::set_checkpoint(boost::unit_test::basic_cstring<char const>, unsigned long, boost::unit_test::basic_cstring<char const>)'
/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:215: undefined reference to `boost::test_tools::tt_detail::check_impl(boost::test_tools::predicate_result const&, boost::unit_test::lazy_ostream const&, boost::unit_test::basic_cstring<char const>, unsigned long, boost::test_tools::tt_detail::tool_level, boost::test_tools::tt_detail::check_type, unsigned long, ...)'


----------------------------------------------------------------------

>Comment By: manustone (manustone)
Date: 2009-11-27 11:04

Message:
Please don't take this into account.
I moved this request to MEssage Forum.
Apologizes

----------------------------------------------------------------------

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Bugs-2904852 ] Quantlib 0.9.9 doesnt build against boost 1.41

[SourceForge.net <no...@so...>]

Bugs item #2904852, was opened at 2009-11-27 08:53
Message generated for change (Tracker Item Submitted) made by manustone
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2904852&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: manustone (manustone)
Assigned to: Nobody/Anonymous (nobody)
Summary: Quantlib 0.9.9 doesnt build against boost 1.41

Initial Comment:
Hi all
I have just downloaded latest version of QuantLib.
In my machine boost 1.41 ( laste version at this time ) was already instealled and working fine.
Building quantlib is fine untile it tries to link against boost::unit_test and boost::test_tool.
The libs are located in /usr/local/lib. What can I do to fix it?
Thanks
Mn
Below some error message

/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:98: undefined reference to `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream const&) const'
/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:215: undefined reference to `boost::unit_test::unit_test_log_t::set_checkpoint(boost::unit_test::basic_cstring<char const>, unsigned long, boost::unit_test::basic_cstring<char const>)'
/home/aoi/Software/QuantLib-0.9.9/test-suite/varianceswaps.cpp:215: undefined reference to `boost::test_tools::tt_detail::check_impl(boost::test_tools::predicate_result const&, boost::unit_test::lazy_ostream const&, boost::unit_test::basic_cstring<char const>, unsigned long, boost::test_tools::tt_detail::tool_level, boost::test_tools::tt_detail::check_type, unsigned long, ...)'


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[Quantlib-dev] unreferenced formal parameter in Line-search based optimization method

[Ferdinando A. <na...@am...>]

Hi all

the implementations in derived classes (ConjugateGradient, BFGS,
SteepestDescent) of

LineSearchBasedMethod::getUpdatedDirection(Problem &P,
                                           Real fold,
                                            Real gold2,
                                           const Array& gradient) = 0;

never use the second parameter Real fold.

Is the parameter to be removed or it might be used by some future
line-search based optimization method?

Nicolas, Frédéric? Anyone else?

ciao -- Nando

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano

[Quantlib-dev] unreferenced formal parameters in MM code

[Ferdinando A. <na...@am...>]

Hi Mark

could you please look into these 3 warnings:

warning C4100: 'LIBORRates' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\pathwisediscounter.cpp	52
warning C4100: 'currentState' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\products\pathwise\pathwiseproductcashrebate.cpp	90
warning C4100: 'deformationSize' : unreferenced formal
parameter	c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\models\capletcoterminalperiodic.cpp	58

before 1.0 I'm doing some lint activity and would like to solve these
issues. Those parameters might be needed (in which case there is a bug
to fix) or are unneeded (in which case I would prefer to alter the
signature before 1.0)

thank you

ciao -- Nando

[Quantlib-dev] x64

[Mark j. <mar...@gm...>]

OK i did a batch build under x64 after updating this morning.

Everything seems to build ok.

I did not do full builds with the static libraries because i never got
round to getting the x64 static boost libraries.

There were two main warnings: one coming from the sequence statistics
class that i fixed with a static_cast.

The other is

..\..\ql/experimental/math/fastfouriertransform.hpp(60) : warning
C4334: '<<' : result of 32-bit shift implicitly converted to 64 bits
(was 64-bit shift intended?)

I didn't feel like messing with this one.

There are various warnings in the test-suite that do not look serious
but would take some time to look into properly. They are generally
casts from size to real which give loss of data warnings.

best

mark

Re: [Quantlib-dev] Fwd: QuantLibAddin, Addin/Cpp

[Eric E. <eri...@na...>]

Hi Roland,

> Do you consider including Calc2 into the QuantLibAddin-0.9.9 release?

Yes, definitely - the old addin is simply broken so even if yours works
only on your Mac it's still the best we have ;)

I will let you know when we're near to packaging the prerelease tarballs
and at that point let's try to get the addin into a consistent state.  I
will try to get it running on linux and windows and I'll rename
Calc->Calc_old
Calc2->Calc

Regards,
Eric

Re: [Quantlib-dev] Fwd: QuantLibAddin, Addin/Cpp

[Roland L. <rol...@go...>]

>
> > if I want to expose more functionality to Calc (that is already
> > exposed to XL), does this mean I have to add <SupportedPlatform
> > name='Calc'/> to the desired functions in
> > QuantLibAddin/gensrc/metadata/functions/*.xml?
>
> Yes, that would be the very first step.  But it would take a whole lot
> more work to get the Calc addin to the stage where it supports
> YieldTermStructures.xls and InterestRateDerivatives.xls.
>
> Setting <SupportedPlatform name='Calc'/> will tell gensrc to attempt to
> autogenerate the source code for the relevant function in the Calc
> addin.  But for many functions, the autogenerated code will not compile,
> or will compile and then fail at runtime.  The main things that are
> missing are conversion functions, plus various other features of
> ObjectHandler which are further advanced for Excel than for Calc.
>
Hi Eric,
yes, I noticed the limits :-). I have modified calc.py and functions/*.xml
to produce the basic files/functions in Addins/Calc2, and I am now trying
to include more functions. It worked for some termstructures and
instruments etc.,  but indeed I'll have to look into conversions now.
Indeed, quite some work ahead.
Do you consider including Calc2 into the QuantLibAddin-0.9.9 release?
Regards,
Roland

Re: [Quantlib-dev] Fwd: QuantLibAddin, Addin/Cpp

[Eric E. <eri...@na...>]

Hi Roland,

I only just noticed that we were cc-ing quantlib-dev here :)

> if I want to expose more functionality to Calc (that is already
> exposed to XL), does this mean I have to add <SupportedPlatform
> name='Calc'/> to the desired functions in
> QuantLibAddin/gensrc/metadata/functions/*.xml?

Yes, that would be the very first step.  But it would take a whole lot
more work to get the Calc addin to the stage where it supports
YieldTermStructures.xls and InterestRateDerivatives.xls.

Setting <SupportedPlatform name='Calc'/> will tell gensrc to attempt to
autogenerate the source code for the relevant function in the Calc
addin.  But for many functions, the autogenerated code will not compile,
or will compile and then fail at runtime.  The main things that are
missing are conversion functions, plus various other features of
ObjectHandler which are further advanced for Excel than for Calc.

Regards,
Eric

Re: [Quantlib-dev] x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

[Craig M. <cra...@ya...>]

Hi Nando,
I'm happy to be of some help.  I've attached details, but in short:

1. One of the two problems are now fixed in the trunk.  The remaining build 
error has to do with the 'Debug x64' config which should have optimization 
disabled (i.e., Configuration Properties | C/C++ | Optimization | 
Optimization: Disabled (/Od) ).  To make all the debug configs the same, I 
would recommend setting the 'Inline Function Expansion to Default'.

2. Adding a folder in the solution is done by right clicking on the solution 
and selecting Add | New Solution Folder.  I use this approach to organize 
projects in a way similar to their physical layout on the drive.  Once the 
folder is create double click on it to rename 'Example' and then Cntr + 
click on each example project (to select) and drag them to the Example 
folder.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~
While I have your ear, I have a few questions:
Q1. What is the best process for submitting this type of stuff (i.e., bug 
fix suggestions)?
Q2. Is the way I've done it acceptable (i.e., bug report with suggested 
fix)?
Q3. I'm interested in being a QL developer, any suggestions on what steps to 
take in accomplishing this?

BTW, I am in the process of creating 'Quant Portfolio Library (QP-Lib)' 
(https://sourceforge.net/projects/qp-lib/) with the idea of complimenting 
QuantLib so becoming a developer on QL would help me minimize my work by not 
trying to duplicate any of the great code that already exists.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Regards,
cm

~~~~~~~~~~~~~~~~~~~~~~~~~~~~
attached 09-11-23 QuantLibSvnTrunk_BuildChangeSummary.zip
 1. notes and build output before and after new fix 09-11-23 
QuantLibSvnTrunk_BuildChangeSummary.rtf
 2. QuantLib_vc9.vcproj file with fix for 'Debug x64' optimization disabled
 3. QuanlLib_vc9.sln file with Examples folder added and projects organized 
under it
~~~~~~~~~~~~~~~~~~~~~~~~~~~~




----- Original Message ----- 
From: "Ferdinando Ametrano" <na...@am...>
To: "Craig Miller" <cra...@ya...>
Cc: <qua...@li...>
Sent: Monday, November 23, 2009 7:58 AM
Subject: Re: [Quantlib-dev] x64 build fix for VS2008 solution project 
(QuantLib 0.9.9 w/ Boost 1.41)


> Hi Craig
>
> On Sat, Nov 21, 2009 at 3:01 AM, Craig Miller <cra...@ya...> 
> wrote:
>> I would like to share an update to QuantLib svn.
>> [...]
>> Summary
>> 1. Fix x64 build errors
>> 2. create Examples folder in solution Explorer which now holds all the
>> example projects
>> 3. notes and build output
>
> I fixed "Disable Language Extensions" back to NO, disabled
> optimization for Debug configurations, and removed most compilation
> warnings. Could you check on the _trunk_ if everything is OK ?
> examples included please.
>
> Would you mind also reporting any compilation warning ?
>
> Does this close the issue you posted on the bug tracker ?
>
> BTW how do you create an Examples folder in the solution? I must be
> dummy, but I couldn't find a way...
>
> thank you for your help
>
> ciao -- Nando 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16775] trunk/QuantLib/ql/experimental/amortizingbonds /amortizingfixedratebond.cpp

[Ferdinando A. <na...@am...>]

Hi Simon

does it make sense that sinkingRedemptions was not used (see my commit below) ?

ciao -- Nando

On Mon, Nov 23, 2009 at 5:18 PM,  <na...@us...> wrote:
> Revision: 16775
>          http://quantlib.svn.sourceforge.net/quantlib/?rev=16775&view=rev
> Author:   nando
> Date:     2009-11-23 16:18:36 +0000 (Mon, 23 Nov 2009)
>
> Log Message:
> -----------
> in anonymous namespace
> - removed unreferenced formal parameter startDate
> - renamed function to start with lower capital letter
> - commented out unused function sinkingRedemptions
>
> Modified Paths:
> --------------
>    trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp
>
> Modified: trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp
> ===================================================================
> --- trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp  2009-11-23 14:10:27 UTC (rev 16774)
> +++ trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp  2009-11-23 16:18:36 UTC (rev 16775)
> @@ -104,7 +104,7 @@
>             return false;
>         }
>
> -        Schedule SinkingSchedule(const Date& startDate,
> +        Schedule sinkingSchedule(const Date& startDate,
>                                  const Period& maturityTenor,
>                                  const Frequency& sinkingFrequency,
>                                  const Calendar& paymentCalendar) {
> @@ -116,8 +116,7 @@
>             return retVal;
>         }
>
> -        std::vector<Real> SinkingNotionals(const Date& startDate,
> -                                           const Period& maturityTenor,
> +        std::vector<Real> sinkingNotionals(const Period& maturityTenor,
>                                            const Frequency& sinkingFrequency,
>                                            Rate couponRate,
>                                            Real initialNotional) {
> @@ -141,24 +140,23 @@
>             return notionals;
>         }
>
> -        std::vector<Real> SinkingRedemptions(const Date& startDate,
> -                                             const Period& maturityTenor,
> -                                             const Frequency& sinkingFrequency,
> -                                             Rate couponRate,
> -                                             Real initialNotional) {
> +        //std::vector<Real> sinkingRedemptions(const Period& maturityTenor,
> +        //                                     const Frequency& sinkingFrequency,
> +        //                                     Rate couponRate,
> +        //                                     Real initialNotional) {
>
> -            std::vector<Real> notionals =
> -                SinkingNotionals(startDate, maturityTenor, sinkingFrequency,
> -                                 couponRate, initialNotional);
> -            Size nPeriods = notionals.size()-1;
> -            std::vector<Real> redemptions(nPeriods);
> +        //    std::vector<Real> notionals =
> +        //        sinkingNotionals(maturityTenor, sinkingFrequency,
> +        //                         couponRate, initialNotional);
> +        //    Size nPeriods = notionals.size()-1;
> +        //    std::vector<Real> redemptions(nPeriods);
>
> -            for(Size i = 0; i < nPeriods; ++i) {
> -                redemptions[i] =
> -                    (notionals[i] - notionals[i+1]) / initialNotional * 100;
> -            }
> -            return redemptions;
> -        }
> +        //    for(Size i = 0; i < nPeriods; ++i) {
> +        //        redemptions[i] =
> +        //            (notionals[i] - notionals[i+1]) / initialNotional * 100;
> +        //    }
> +        //    return redemptions;
> +        //}
>
>     }
>
> @@ -181,9 +179,9 @@
>         maturityDate_ = startDate + bondTenor;
>
>         cashflows_ =
> -            FixedRateLeg(SinkingSchedule(startDate, bondTenor,
> +            FixedRateLeg(sinkingSchedule(startDate, bondTenor,
>                                          sinkingFrequency, calendar))
> -            .withNotionals(SinkingNotionals(startDate, bondTenor,
> +            .withNotionals(sinkingNotionals(bondTenor,
>                                             sinkingFrequency, coupon,
>                                             initialFaceAmount))
>             .withCouponRates(coupon, accrualDayCounter)
>
>
> This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site.
>
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> _______________________________________________
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>

Re: [Quantlib-dev] x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

[Ferdinando A. <na...@am...>]

Hi Craig

On Sat, Nov 21, 2009 at 3:01 AM, Craig Miller <cra...@ya...> wrote:
> I would like to share an update to QuantLib svn.
> [...]
> Summary
> 1. Fix x64 build errors
> 2. create Examples folder in solution Explorer which now holds all the
> example projects
> 3. notes and build output

I fixed "Disable Language Extensions" back to NO, disabled
optimization for Debug configurations, and removed most compilation
warnings. Could you check on the _trunk_ if everything is OK ?
examples included please.

Would you mind also reporting any compilation warning ?

Does this close the issue you posted on the bug tracker ?

BTW how do you create an Examples folder in the solution? I must be
dummy, but I couldn't find a way...

thank you for your help

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16773] trunk/QuantLib

[Ferdinando A. <na...@am...>]

On Mon, Nov 23, 2009 at 2:46 PM, Luigi Ballabio
<lui...@gm...> wrote:
> On Mon, 2009-11-23 at 12:17 +0000, na...@us... wrote:
>> Revision: 16773
>>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16773&view=rev
>> Author:   nando
>
> A couple of quick questions:
> 1) does this close the two issues posted by Craig on the bug tracker?

I'm going to ask Craig, as I don't have access to VC9 x64

> 2) can I backport it to the 1.0 branch?
not yet, there might be a couple more fixes

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16773] trunk/QuantLib

[Luigi B. <lui...@gm...>]

On Mon, 2009-11-23 at 12:17 +0000, na...@us... wrote:
> Revision: 16773
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16773&view=rev
> Author:   nando
> Date:     2009-11-23 12:17:58 +0000 (Mon, 23 Nov 2009)
> 
> Log Message:
> -----------
> - removed WIN32, added x64 preprocessor defines in all x64 configurations
> - switched back "Disable Language Extension" to NO in QuantLib x64 configurations
> - removed FileConfigutaion element in all Example projects
> thanks to Craig Miller

A couple of quick questions:
1) does this close the two issues posted by Craig on the bug tracker?
2) can I backport it to the 1.0 branch?

Luigi


-- 

Of course, if people could just act consistently, they could keep 
their desks clean, avoid cavities, lose weight, give up smoking, 
play a musical instrument, and possibly even produce software on 
a regular and timely basis. 
-- Alistair Cockburn 

[Quantlib-dev] [ quantlib-Bugs-2902238 ] test-suite fails debug static x64 build - Fix provided

[SourceForge.net <no...@so...>]

Bugs item #2902238, was opened at 2009-11-22 18:29
Message generated for change (Tracker Item Submitted) made by c-miller
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902238&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: test-suite fails debug static x64 build - Fix provided

Initial Comment:
Code: QuantLib 0.9.9 svn tips
Configuration: Debug (static runtime) x64
  testsuite - 55 error(s), 5 warning(s)
  Typical Error: error C2514: 'QuantLib::Null<Type>' : class has no constructors
Problem: missing x64 preprocessor definition
Fix: add x64 preprocessor definition
   (i.e., open configuration properties and add x64 definition)

Regards,
c-miller

Note: unresolved runtime test-suite error
QuantLib::detail::quantlib_test_case(&CreditDefaultSwapTest::testImpliedHazardRate)": std::exception: negative time (-0.00273973) given
c:\devwebcode\quant\quantlib\quantlibsvntrunk\quantlib\test-suite\utilities.hpp(78): last checkpoint


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[Quantlib-dev] [ quantlib-Bugs-2902185 ] date schedule is incorrect with EndOfMonth=true

[SourceForge.net <no...@so...>]

Bugs item #2902185, was opened at 2009-11-22 17:06
Message generated for change (Tracker Item Submitted) made by blitvin
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: date schedule is incorrect with EndOfMonth=true

Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at bor...@or.... Thanks a lot - Boris.

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[Quantlib-dev] [ quantlib-Bugs-2901554 ] Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

[SourceForge.net <no...@so...>]

Bugs item #2901554, was opened at 2009-11-20 19:12
Message generated for change (Tracker Item Submitted) made by c-miller
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2901554&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

Initial Comment:
----- Original Message ----- 
From: Craig Miller 
To: qua...@li... 
Sent: Friday, November 20, 2009 7:01 PM
Subject: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)


I would like to share an update to QuantLib svn.  The attached 09-11-02 QLSvnTrunk_BuildChangeSummary.zip includes:

1. QuantLib_vc9.vcproj
2. QuantLib_vc9.sln
3. 09-11-20 QuantLibSvnTrunk_BuildChangeSummary.rtf

Summary
1. Fix x64 build errors
2. create Examples folder in solution Explorer which now holds all the example projects
3. notes and build output

Note
I typically use a batch build of all configurations so my Boost path is set appropriately for x86 vs. x64 libraries to link (see attached notes for details).

Craig Miller
cra...@fl...

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[Quantlib-dev] boostify QL

[Ferdinando A. <na...@am...>]

On Fri, Nov 20, 2009 at 8:15 AM, Nicolai Lassesen <nla...@de...> wrote:
> I would be happy to help boostify QL. How would you go about doing it? Use the
> Boost date class and give up Quantlib date?

1) replace as much QuantLib:Date implementation as possible using
Boost, preserving backward compatibility and Excel date number
compatibility
2) extend discrete (integer) Date to continuous (decimal) Date, again
preserving backward compatibility and Excel date number compatibility
3) finally if the QuantLib wrapper layer is thin enough support me in
lobbying for getting rid of QuantLib::Date in a backward incompatible
QuantLib 2.0   :-)

Similar approaches could be used for math (especially distributions),
random numbers, and any other area where Boost and QuantLib overlap.

The black-belt developer might even try to replace QuantLib
Observer/Observable with Boost signals/slots, and maybe replace the
other patterns with Loki

Rest assured we'll pay due credit even if you just remove code
resulting in few source files with your name in it :-)

ciao -- Nando

[Quantlib-dev] Issues about QuantLibAddin/XL release

[Ferdinando A. <na...@am...>]

Hi Eric and Plamen

few issues about QuantLibAddin/XL release (I'm CCing ql-dev)

1) R000909-branch\QuantLibXL\Workbooks\Math\Interpolation.xls is
broken because some time ago I've changed interpolation signature from
vector<Real> to vector<Quote>.
This is a quite relevant improvement because it allows to have
dynamically changing interpolants without having to recreate it
(hopefully one day Luigi might agree to move the implementation from
QLA to QL)
Unfortunately there is not coercion from string of comma separated
numbers to vector<Quote>, equivalent to the one available for
vector<Real>.
Could this coercion be coded before 0.9.9 release ?

2) the only major problem I have with the current QLXL is the compile
time definition of enumerated type/class aliases (e.g. act/360,
actual/360, etc). This makes difficult the quick reception of other
systems (Bloomberg, Reuters, Murex. etc) names. Initially I hoped for
an xml run-time definition of aliases, but lately I've been thinking
about special simple objects called Alias which would be created as
qlAlias(foo, bar), bar being an object of some given class MyClass.
Then when foo is used as input it is just replaced by bar before being
processed by coercion, etc
Is this feasible?

3) the other minor issue I have with the current QLXL is that when
returning the name of anonymous object (as in RatehelperSelection) an
empty string is returned, instead of obj_012ab

4) you might have noticed that I've added
R000909-branch\QuantLibXL\framework\QuantLibXL.launch.xml to quickly
parametrize xlls to be loaded and actions to be performed at startup.
This would be very effective for our release process if the VBA code
would handle relative path too. I've been unable to do this VBA
change.
If it is feasible and quick it would be much better than maintaining
hardcoded defaults in the vba code

5) are you willing to invest some time in Launcher and VBA framework
before 1.0 ?
I have some ideas about a better and simpler portable
Luncher/startup-process, but I'm not comfortable yet working on my own
when it comes to xml and c#.
It would also involve removing all framework code from QuantLibXL.xla
to a new framework.xla, leaving in QuantLibXL.xla only the start-up
process and generic menus

ciao -- Nando

Re: [Quantlib-dev] Question to the Leap function in the Date class

[Nicolai L. <nla...@de...>]

> I agree. I didn't notice the (auto-)linking.
> Actually I jumped to this modification in the hope to trigger further
> boostification, but this is another issue and would require a stronger
> determination

I would be happy to help boostify QL. How would you go about doing it? Use the 
Boost date class and give up Quantlib date?

Br,
Nicolai

Re: [Quantlib-dev] need help for QuantLib VC9 x64 support

[Luigi B. <lui...@gm...>]

On Thu, 2009-11-19 at 17:25 +0100, Ferdinando Ametrano wrote:
> I've cleaned up QuantLib VC9 solution and projects for x64 support.
> 
> [...]
> 
> unfortunately I don't have access to x64 so I need confirmation that I
> got everything right.

Let me know when it's ok, so I can backport it to the 1.0 branch.

Thanks,
	Luigi


-- 

feature, n: 
A surprising property of a program. Occasionally documented. 
To call a property a feature sometimes means the author did not 
consider that case, and the program makes an unexpected, though 
not necessarily wrong response. See BUG. "That's not a bug, 
it's a feature!" A bug can be changed to a feature by 
documenting it. 

[Quantlib-dev] need help for QuantLib VC9 x64 support

[Ferdinando A. <na...@am...>]

Hi all

I've cleaned up QuantLib VC9 solution and projects for x64 support.

Now all eight configurations should be available:

Release | win32
Release | x64
Debug | win32
Debug | x64
Release (static runtime) | win32
Release (static runtime) | x64
Debug (static runtime) | win32
Debug (static runtime) | x64

and each configuration should build and link without errors the following
fifteen projects:

QuantLib
testsuite
Swap
EquityOption
ConvertibleBonds
FRA
Repo
Replication
BermudanSwaption
DiscreteHedging
FittedBondCurve
CallableBonds
CDS
Bonds
MarketModels

unfortunately I don't have access to x64 so I need confirmation that I got
everything right.

ciao -- Nando

PS I've also enabled /MP for multi processor multi core compilation

Re: [Quantlib-dev] QuantLibAddin, Addin/Cpp

[Roland L. <rol...@go...>]

>
> How would you feel about putting together a new example workbook that we
> could use for a new screenshot on http://www.quantlibaddin.org - ideally
> something that shows off the business functionality as much as possible,
> and shows the latest version numbers for Calc + QL, using the colors
> from the website - ?
>
Hi Eric,

thanks for the encouraging words ;-).
In fact it did not take much yesterday night to get the Option.ods up again.
I organised the code such that it is similar to your original files in
QuantLibAddin/Addins/Calc and I reused most of it with tiny modifications. I
will commit it to the 0.9.9 branch tonight or tomorrow,
QuantLibAddin/Addins/Calc2 and QuantLibAddin/Clients/Calc2, as you
suggested.

I am really wondering now which change prevented compilation/deployment in
the first place. I cannot tell because I started from scratch with the
simple wiki examples and added your code step by step.


>
> The holy grail would be to get the Calc addin into a state where it
> could seamlessly load the flagship example QLXL workbooks...
>
> QuantLibXL/Workbooks/StandaloneExamples/YieldTermStructures.xls
> QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls
>
> ...but that would take a lot of work.
>
Ok, I'm tempted. But doesn't it make more sense to look at gensrc for Calc
now rather than putting the code together manually?

Best regards,
Roland